Momentum Investing Article

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Plex
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Joined: Sun Jul 31, 2011 5:41 pm

Momentum Investing Article

Post by Plex »

For anyone interested, I came across this article on momentum investing with ETFs that uses weighted measures of momentum to determine allocation.

http://www.scribd.com/doc/91933741/Mome ... araldOswin

In addition, for those of you who make it to the end...is the author simply ranking the ETFs based on each of the 4 momentum determinants, then summing the weighted ranks to create the final rank?

Also, is the Return criteria more complicated than a rank of simple price appreciation?

Sorry, I'm not familiar with the code at the end.

-Plex
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Aspen
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the code at the end is R

Post by Aspen »

Hey Plex,
You can get that code at http://www.cran.r-project.org.
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